Add # to submenu URLs automatically

This ended up doing the trick.

function auto_hashtag( $menu_item ) {
    if ( ! is_admin() && $menu_item->post_parent > 0) {

        // url
        $url = $menu_item->url;
        $menu_item->url = preg_replace('!/([^/]+)/$!', "/#\\1", $url);
    }

    return $menu_item;
}
add_filter( 'wp_setup_nav_menu_item', 'auto_hashtag' );